THE UNIVERSITY OF NEW SOUTH WALES

SCHOOL OF ACTUARIAL STUDIES

SEMESTER 1 2011
ACTL 3001/5104: Actuarial Statistics
Quiz
Write the required information on the space provided:

Name:

Student ID:

Circle the tutorial session which you are enrolled for:

Posgraduate tutorial (Tue 5pm-6pm)
Maathumai - B (Wed 10am-11am)
Jessica-B (Wed 3pm-4pm)

Maathumai - A (Wed 9am-10am)

Jessica - A (Wed 2pm-3pm)
Maathumai -C (Wed 5pm-6pm)

INSTRUCTIONS:
Read through the following information carefully. DO NOT COMMENCE WRITING UNTIL YOU ARE TOLD TO DO SO.
Time Allowed: 1 hour
Reading time: 5 minutes
This examination paper has 11 pages
Total number of questions: 5
Total Marks available: 100 points
Marks allocated for each part of the questions are indicated in the examination
paper. All questions are not of equal value.
This is a closed-book test and no formula sheets are allowed except for the Formulae and Tables for Actuarial Exams (any edition). IT MUST BE WHOLLY
UNANNOTATED.
Use your own calculator for this exam. If your calculators are not UNSW approved, the calculators must be hand-held, internally powered and silent, and
any programmable memory must be cleared prior to entering an examination
room.
Show all necessary steps in your solutions. If there is no written solution,
then no marks will be awarded.
ALL ANSWERS MUST BE WRITTEN IN INK. EXCEPT WHERE THEY
ARE EXPRESSLY REQUIRED, PENCILS MAY BE USED ONLY FOR
DRAWING, SKETCHING OR GRAPHICAL WORK
THE PAPER MAY BE RETAINED BY THE CANDIDATE
Page 1 of 11

Question 1. (9 marks)
(a) [6 marks] Suppose that q60 = 0.06229. Calculate 1 q60 1 , assuming that a constant
4
4
hazard rate applies between any two consecutive integer ages.

(b) [3 marks] You are given the following extract from a 2-year select-and-ultimate
mortality table:
[x] l[x] l[x]+1
30 9907 9905
31 9903 9901
32 9899 9896
Calculate

lx+2 x + 2
9901
32
9897
33
9893
34

1|2 q[31] .

PLEASE TURN OVER

Page 2 of 11

Question 2. (38 marks)

The data below are survival times (in weeks) of two groups of rats. Group 1 were
injected with drug A and Group 2 were injected with drug B.
Survival times for Group 1 (in weeks) : 2, 4 , 6, 9, 9, 12, 12
Survival times for Group 2 (in weeks) : 3 , 6, 7 , 7 , 9, 12 , 14
where

indicates censoring.

(a) [10 marks] Compute the Kaplan-Meier estimate of the survival function of a rat
from group 1.

(b) [3 marks] State the assumptions underlying the estimate in (a).

PLEASE TURN OVER

Page 3 of 11

(c) [13 marks] Perform a Wilcoxon test to check whether there is a difference in
the survival functions of the two groups? You are given that the variance of the
Wilcoxon statistic is 88.

(d) [4 marks] Now suppose that you believe that the effect is more pronounced towards the beginning of the survival function. Which one of the following test statistics is more appropriate for comparing the survival functions of the two groups:
Log-Rank test statistic and Wilcoxon test statistic? Briefly explain your answer.

PLEASE TURN OVER

Page 4 of 11

(e) [4 marks] Use F (x) to denote the cumulative distribution function of the survival
time for a rat in group 2. Write down the total likelihood for these observations in
group 2.

(f) [4 marks] Suppose you have obtained the following Kaplan-Meier estimate of the
survival function of a rat in group 2, S2 (t): S2 (6) = 65 and S2 (9) = 59 . Comment
on the appropriateness of using each of the following values as an estimate for S2 (15).
(i) 0
(ii)

5
9

(iii)

2
3

(iv)

1
3

PLEASE TURN OVER

Page 5 of 11

Question 3. (36 marks)

A study was performed to investigate whether smoking has a significant effect on
the mortality rate of human being. The survival times of two groups of people have
been recorded-one group being smokers and the other group being non-smokers.
Assume that you propose to use a Cox model with a single covariate which is 1
for a smoker and 0 for a non-smoker.
(a) [3 marks] Write down the model representation formula and define the notations
used.

(b) [3 marks] Suppose that there is only one observed lifetime equal to 30 and this
observation is a death of a smoker, and that there are exactly 1 smoker and 2 nonsmokers whose lifetimes, censored or not, are strictly greater than 30. Determine the
contribution of this observed death with lifetime being 30 to the partial likelihood.

PLEASE TURN OVER

Page 6 of 11

(c) [9 marks] Suppose that you have found the partial likelihood function as follows:
2
5
constant e6 (e + )4 (e + )2 (e + 1)8 .
3
7
Find the maximum likelihood estimate of the hazard ratio of the survival time
of a smoker to that of a non-smoker.

PLEASE TURN OVER

Page 7 of 11

(d) [15 marks] For our study on lifetimes of the two groups, we have the following
observations on lifetimes in the presence of right censoring:
x1 , x 2 , , x n .

Suppose you have obtained the Kaplan-Meier estimate of the survival function, S(t).
Describe and explain in detail how you can check whether the Cox regression model
fits the observations.

PLEASE TURN OVER

Page 8 of 11

0.0

0.2

0.4

0.6

0.8

1.0

(e) [6 marks] Now suppose that the Kaplan-Meier estimates of the survival functions
of the two groups are plotted as follows:

500

1000

1500

2000

Comment on the appropriateness of using a Cox regression model with explanation.

Page 9 of 11

Question 4. (13 marks)

Suppose that empirical studies have shown that the lifetime random variable Y
satisfies the following relationship with the covariate vector (z1 , , zp ):
Y = exp( +

P
X

i zi + W )

i=1

where W is the error random variable. Is this an accelerated failure-time model?

Answer with proof. If your answer is yes, find the acceleration factor.

PLEASE TURN OVER

Page 10 of 11

Question 5. (4 marks)
The following edited printout is an extract of the output obtained from fitting a
Weibull regression model
Y = log X = + 1 z1 + 2 z2 + W
where X is the survival time random variable, the covariate z1 = 1 if the graft type
is allogenic, z1 = 2 if the graft type is autologous, z2 = 1 if the disease state is Non
Hodgkin lymphoma and z2 = 2 if the disease state is Hodgkins disease.

coefficient
(Intercept) 7.52106
Disease
-0.15
Graft
-1.54

Std. Error
1.476
0.41
0.36

Wald
Chi Square

p-value

0.13
18.07

0.717
<0.001

Based on the information provided in this printout, what do you conclude about
the effect of graft type on survival?

END

Page 11 of 11